"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimaltiy, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. For simplicity, all continuous-time models are based on Brownian motion. Applications include term structure models, derivative valuation and hedging methods, and dynamic programming algorithms for portfolio choice and optimal exercise of American options. Numerical methods covered include Monte Carlo simulation and finite-difference solvers for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. This second edition is substantially longer, while still retaining the consciseness for which the first edition was praised. All chapters from the first edition have been revised. Two new chapters have been added on term structure modeling and on derivative securities. References have been updated throughout. With this new edition, "Dynamic Asset Pricing Theory" remains the definitive textbook in the field.
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29 of 35 people found the following review helpful:
4.0 out of 5 stars
Good reference but a bit difficult,
This review is from: Dynamic Asset Pricing Theory. Second edition (Hardcover)
This book is a must-have for any person working with dynamic asset pricing models. It is not a undergraduate text book in my opinion since it is so very broad and difficult to digest without a very complete understanding of stochastic calculus. I recommend it for graduate students in the fieald of financial economics whom have completed at least one post-graduate course in finance.
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